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st: Spline Garch Model

From   Gabriel Nicolás Michelena <[email protected]>
To   [email protected]
Subject   st: Spline Garch Model
Date   Mon, 31 Jan 2011 12:34:40 -0300 (ART)

Hi Statalisters,

Actually im working on the commodities volatility, and im really interested in the measure of long run volatility estimation proposed by Robert Engle ( ). This is the spline garch model, and i didnt find the necesary program to run it in Stata or another package like Oxmetrics. Someone tried it before? Is there some ado for Stata?

I will aprecciate any help

Best Regards

--- Lic. Gabriel Michelena 

Centro de Economía Internacional. Ministerio de 
Relaciones Exteriores, Comercio Internacional y Culto Esmeralda 1212 - 2° Piso - 
Oficina 201 Ciudad Autónoma de Buenos Aires 

( C1007ABR ) Argentina 

Tel: (+5411) 4819-7000. Interno 

Fax: (+5411) 4819-7484 


E-mail: [email protected] 

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